TY - JOUR
T1 - An axiomatic approach to ε -contamination
AU - Nishimura, Kiyohiko G.
AU - Ozaki, Hiroyuki
PY - 2006/2/1
Y1 - 2006/2/1
N2 - Suppose that an economic agent is (1-\varepsilon) \times 100% certain that uncertainty she faces is characterized by a particular probability measure, but that she has a fear that, with \varepsilon \times 100% chance, her conviction is completely wrong and she is left perfectly ignorant about the true measure in the present as well as in the future. This situation is often called " varepsilon -contamination of confidence." The purpose of this paper is to provide a simple set of behavioral axioms under which the decision-maker's preference is represented by the Choquet expected utility with the varepsilon -contamination of confidence.
AB - Suppose that an economic agent is (1-\varepsilon) \times 100% certain that uncertainty she faces is characterized by a particular probability measure, but that she has a fear that, with \varepsilon \times 100% chance, her conviction is completely wrong and she is left perfectly ignorant about the true measure in the present as well as in the future. This situation is often called " varepsilon -contamination of confidence." The purpose of this paper is to provide a simple set of behavioral axioms under which the decision-maker's preference is represented by the Choquet expected utility with the varepsilon -contamination of confidence.
KW - Choquet expected utility
KW - Representation theorem
KW - ε-contamination
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U2 - 10.1007/s00199-004-0584-3
DO - 10.1007/s00199-004-0584-3
M3 - Article
AN - SCOPUS:18144423188
SN - 0938-2259
VL - 27
SP - 333
EP - 340
JO - Economic Theory
JF - Economic Theory
IS - 2
ER -